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Keywords:
worst-case analysis; uncertainty; decision theory; maximin; robustness
worst-case analysis; uncertainty; decision theory; maximin; robustness
Summary:
We examine worst-case analysis from the standpoint of classical Decision Theory. We elucidate how this analysis is expressed in the framework of Wald's famous Maximin paradigm for decision-making under strict uncertainty. We illustrate the subtlety required in modeling this paradigm by showing that information-gap's robustness model is in fact a Maximin model in disguise.
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